I have occasionally experienced this. I once woke up to what sounded like a very loud gunshot right outside of my bedroom window. I actually called the police,

I have occasionally experienced this. I once woke up to what sounded like a very loud gunshot right outside of my bedroom window. I actually called the police, half in a fog, until I realized half way through the call that it may have been a hypnagogic hallucination of sorts.